You think this is a problem, but it has always worked this way. I also think it should be changed, but Blizzard disagrees.
If it were a bug, then Blizzard would have responded to literally hundreds of threads before this one over the many years that it has been brought to their attention, and they would not have it stickied at the top of the forums.
This season is only slightly different from previous seasons, but here is what would have happened in a different season:
You create a hero and level 2 gems to 65 and one gem at a lower level.
You then create another hero, that needs different gems.
You level 2 different gems to 65, and one gem at a lower level.
You have now leveled 4 gems to level 65, but you do not get the conquest.
Even if you put all 4 level 65 gems in the stash or socket them at the same time, you will not get the conquest.
This is when people come to the forums to complain. And you are here with the many hundreds of people before you. You have the gems. No one denies this. But URSHI can not see them.
BUT,
If you then open a level 1 GR and level a gem from 0 to 1, and have the 3 gems in your stash, you will get the conquest because Urshi can now see that you have completed the requirements.
That is how it has always worked, and that is how it works now. Nothing has changed.
I think it should work differently, but Blizzard disagrees since it has been reported HUNDREDS of times and is stickied at the top of the forums as NOT being a bug.
If you want to see something changed, then this is the wrong forum.
This is also stickied at the top of the forums: How to Write a Good Bug Report
Feedback is NOT a bug. Anything related to feedback, class balance, boss suggestions, etc. belongs in another forum.